Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
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- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2015. "Structure and asymptotic theory for nonlinear models with GARCH erros," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 16(1), pages 1-21.
- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2010. "Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors," Working Papers in Economics 10/79, University of Canterbury, Department of Economics and Finance.
- Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2010. "Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors," KIER Working Papers 754, Kyoto University, Institute of Economic Research.
References listed on IDEAS
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Citations
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Cited by:
- Thomas Chuffart, 2015.
"Selection Criteria in Regime Switching Conditional Volatility Models,"
Econometrics,
MDPI, Open Access Journal, vol. 3(2), pages 1-28, May.
- Thomas Chuffart, 2013. "Selection Criteria in Regime Switching Conditional Volatility Models," AMSE Working Papers 1339, Aix-Marseille School of Economics, Marseille, France, revised 14 Jul 2013.
- Thomas Chuffart, 2013. "Selection Criteria in Regime Switching Conditional Volatility Models," Working Papers halshs-00844413, HAL.
More about this item
Keywords
GARCH; STAR; asymptotic theory; log-moment; moment conditions; nonlinear time series; regime-switching; smooth transition;JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
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